Dynamic of the yield curve in response to monetary policy adjustments
spread as an analytical and predictive instrument
DOI:
https://doi.org/10.59051/joaf.v15i1.750Keywords:
Bond Market, Monetary Policy, Policy Rate, Spread, Yield CurveAbstract
Purpose : This article focuses on analyzing the Treasury bill yields in the secondary market, highlighting the dynamics of the yield curve in response to adjustments in the policy rate within an increasingly restrictive monetary policy context.
Method : The methodology adopted in this empirical investigation relies on a sophisticated statistical approach, analyzing the temporal variation of yield rates as a function of the policy rate through the technical difference known as the Spread.
Findings : The findings emphasize the relevance of the spread as an analytical tool for yield markets. We observed a pronounced sensitivity of short maturities to policy rate adjustments, revealing a rapid responsiveness among investors seeking profit. Additionally, a significant risk premium characterizes long-term maturities, suggesting heightened risk anticipation within this curve segment.
Originality value : The significance of this study lies in its thorough analysis of the relationship between the yield curve and monetary policy through the use of the spread, an aspect relatively unexplored by researchers and professionals alike. Nevertheless, this measure, both simple and effective, represents a crucial tool for financial market stakeholders in analyzing and forecasting yield rates.
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